Venter, Pierre J.; Levendis, Alexis; Maré, E. - In: Cogent economics & finance 10 (2022) 1, pp. 1-12
In this paper, the generalised autoregressive heteroskedasticity (GARCH) model is applied to the pricing of … collateralised options in the South African equity market. Symmetric GARCH and nonlinear asymmetric GARCH (AGARCH) models are … surfaces. Finally, the effect of asymmetry is shown by the difference between the symmetric and asymmetric GARCH option price …
